Filtered Range Breakouts with ATR-Based Risk and Trailing Exits

Summary

This script describes a mechanical volatility breakout strategy with selectable long-only or long-and-short direction and either close-based or stop-order entries. It measures a recent price range using prior bars, excluding the current breakout bar, and compares the range with ATR thresholds. The visible settings also include stock and broad-market trend filters based on moving averages, ATR expansion, and relative volume. A market-regime check uses a configurable benchmark symbol, defaulting to SPY.

Risk controls offer full exits at a risk-to-reward target, a partial profit followed by a trailing runner, or trailing exits alone. The runner can trail an EMA or use an ATR distance; optional exits include a trend break or an opposite breakout. A date filter can constrain backtests. The supplied excerpt stops during the calculation section, so signal rules and order management are not fully available. It provides configurable methodology but no performance results, and its filters and parameters require testing across instruments and periods.

Key ideas

• The breakout range is calculated from prior bars so the current signal bar does not expand the reference range.
• ATR thresholds screen ranges by their size relative to recent volatility.
• Optional trend, benchmark regime, ATR expansion, and relative-volume filters qualify setups.
• Exit modes include fixed reward targets, partial profit with a trailing runner, or trailing only.
• The excerpt contains no backtest results and does not show the full signal or order logic.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.